A comparative analysis on the relative performance of dividend stocks and non-dividend stocks - Investigating the relative performance during a high and low level of inflation
Author
Andreassen, Andreas Nygaard
Term
4. semester
Publication year
2025
Submitted on
2025-06-01
Pages
64
Abstract
Hvilken udbyttepolitik der er bedst, er fortsat et omdiskuteret emne. Denne afhandling sammenligner afkast og risiko (målt som kursudsving/volatilitet) for udbyttebetalende aktier med aktier, der ikke udbetaler udbytte, og ser især på, hvilken rolle inflation spiller. Analysen bygger på kvartalsvise paneldata for S&P 500-selskaber (store amerikanske virksomheder) fra 2010 til 2024. Der anvendes statistiske modeller, herunder fixed effects (der tager højde for forskelle mellem selskaber over tid) og pooleret OLS, og der kontrolleres for selskabskarakteristika. Tre hypoteser testes: (1) at udbytteaktier giver højere afkast end ikke-udbytteaktier; (2) at udbytteaktier klarer sig relativt bedre under høj inflation; og (3) at udbytteaktier har lavere volatilitet uanset inflationsniveau. Resultaterne støtter ikke den første hypotese: For hele perioden og ved høj inflation bliver afkastforskelle uvæsentlige, når der kontrolleres for selskabernes forhold. Ved lav inflation forventes ikke-udbytteaktier derimod at give 1–2 procentpoint højere kvartalsafkast end udbytteaktier. Den anden hypotese kan ikke forkastes, fordi ikke-udbytteaktiernes afkastfordel bliver mindre i perioder med høj inflation. Den tredje hypotese får klar støtte: Udbytteaktier har konsekvent lavere volatilitet på tværs af inflationsniveauer—omkring 2 til 2,5 procentpoint lavere. Afhandlingen bidrager ved at fremhæve, at inflation bør indgå som en central faktor i investeringsbeslutninger om udbytte.
Which dividend policy is best remains widely debated. This thesis compares the returns and risk (measured as price swings/volatility) of dividend-paying stocks with those that do not pay dividends, with a particular focus on the role of inflation. The study uses quarterly panel data for S&P 500 companies (large U.S. firms) from 2010 to 2024. It applies statistical models, including fixed effects (which account for differences across firms over time) and pooled OLS, and controls for firm characteristics. Three hypotheses are tested: (1) dividend payers earn higher returns than non-payers; (2) dividend payers perform relatively better when inflation is high; and (3) dividend payers have lower volatility regardless of inflation. The results do not support the first hypothesis: For the full period and during high inflation, return differences become insignificant once firm characteristics are controlled for. In low-inflation periods, however, non-dividend payers are expected to earn 1–2 percentage points higher quarterly returns than dividend payers. The second hypothesis cannot be rejected, as the return advantage of non-dividend payers diminishes when inflation is high. The third hypothesis is strongly supported: Dividend-paying stocks consistently show lower volatility across inflation levels—about 2 to 2.5 percentage points lower. The thesis contributes by highlighting that inflation should be a key consideration in dividend-related investment decisions.
[This summary has been rewritten with the help of AI based on the project's original abstract]
Keywords
Documents